Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
type: Item
instance of: scholarly article
title: Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
zbMATH Open document ID: 1398.62289
author: Hélène Cossette
author: Itre Mtalai
author: Déry Veilleux
author: É. Marceau
published in: Insurance Mathematics \& Economics
publication date: 2018-02-15T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 6839368
zbMATH Keywords: Archimedean copulas
zbMATH Keywords: common mixture representation
zbMATH Keywords: aggregation strategy
zbMATH Keywords: risk measures
zbMATH Keywords: capital allocation
zbMATH Keywords: ruin theory
zbMATH Keywords: nested Archimedean copulas
describes a project that uses: CopulaModel
describes a project that uses: nacopula
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2017.11.002
OpenAlex ID: W2608451768
cites work: Explicit ruin formulas for models with dependence among risks
cites work: Q3675249
cites work: Continuous Bivariate Distributions
cites work: TVaR-based capital allocation with copulas
cites work: Q3412547
cites work: Q3562660
cites work: Ruin Probabilities in the Compound Markov Binomial Model
cites work: Classical numerical ruin probabilities
cites work: On the distribution of the surplus prior to ruin
cites work: Q5706744
cites work: A family of bivariate distributions with non-elliptical contours
cites work: Q5624436
cites work: Weighted risk capital allocations
cites work: On the multivariate probability integral transformation
cites work: Sampling Archimedean copulas
cites work: Efficiently sampling nested Archimedean copulas
cites work: A stochastic representation and sampling algorithm for nested Archimedean copulas
cites work: Likelihood inference for Archimedean copulas in high dimensions under known margins
cites work: CDO pricing with nested Archimedean copulas
cites work: Q4382161
cites work: Dependence Modeling with Copulas
cites work: Multivariate distributions from mixtures of max-infinitely divisible distributions
cites work: Risk process approximation with mixing
cites work: Monte Carlo and quasi-Monte Carlo sampling
cites work: Q3916824
cites work: Q3092576
cites work: Families of Multivariate Distributions
cites work: Life distributions. Structure of nonparametric, semiparametric, and parametric families.
cites work: Sampling nested Archimedean copulas
cites work: Q5253267
cites work: Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
cites work: Comparison methods for stochastic models and risks
cites work: Loss Models
cites work: Ruin probabilities in the compound binomial model
DOI: 10.1016/J.INSMATHECO.2017.11.002
Recommended article: Modeling dependence based on mixture copulas and its application in risk management
Recommended article: COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
Recommended article: Archimedean copulas with applications to VaR estimation
Recommended article: Archimedean copulae for risk measurement
Recommended article: Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
Recommended article: Dependence structure of conditional Archimedean copulas
Recommended article: Conditional tail independence in Archimedean copula models
Recommended article: Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
Recommended article: Modeling defaults with nested Archimedean copulas
Recommended article: Hierarchical Archimedean copulas through multivariate compound distributions
description: scientific article; zbMATH DE number 6839368